Riassunto analitico
This script provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The “APP Program” captures the unconventional monetary policy shock as a collage of all different programs implemented by European Central Bank since January 2015 to the present day.
The aim is to analyze the impact of unconventional monetary policy by focus on six countries: Italy, France, Spain, Portugal, Greece, Germany. This study is important to know the functioning of these policies to allow aware and accurate use in times of crisis, where it is not possible to cut the interest rate and to make mistakes produce a higher cost than at other times. Quantitative and qualitative easing policies could become a conventional tool to use when the interbank interest rate is not zero.
In this work I use a Bayesian-Var model with Cholesky identification. The shock associated to the APP is identified with zero restrictions. The B-Var captures the market expectation on unconventional monetary policy started in January 2015 and describes the effect of “APP shocks” on national variables.
The evidence studied on six countries suggests that the APP had a significant downward effect on both industrial production and HICP inflation in the euro area during the first period, however the HICP inflation appears to be significative in the short term. Farther there are differences among the analyzed countries.
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